The December issue of The Journal of Risk Model Validation consists of one backtesting paper and three papers on value-at-risk. There are a number of subthemes that involve at least two of the papers:...

Value-at-risk (VaR) is a common tool applied by market makers to monitor the risk of any trading position. The conventional VaR model assumes a frictionless market, which is seldom the case. The 2008 financial...

With this issue of The Journal of Credit Risk, we enter the journal's tenth year. Over this time the journal has flourished in terms of both readership and quality of papers, while the world has seen a...

What should market participants in Asia make of the Greek debt debacle? Short term, not a lot has changed. Greece did not default on its €8.5 billion, 10-year bond repayment that was due on May 19, despite...

A quant at Citi has revived debate about the changing nature of the profession (www.risk.net/2417747). The scope is narrower, he claims; the job has been dumbed down, and today's quants are little more than programmers. Is he right?